Ichimoku Cloud Trend Filtering with Conversion and Base Lines
Summary
This strategy uses Ichimoku components to combine a directional trend filter with a faster momentum comparison. It describes long positions when price is above both cloud spans and the conversion line is above the base line, with the reverse conditions for shorts. The conversion and base lines use high-low midpoints over 9 and 26 periods; the cloud uses leading spans, including a 52-period span, displayed with a forward displacement. Positions are closed when the opposite signal appears.
The document provides parameter defaults and BTC/USDT Binance futures backtest dates, but reports no measured returns, risk statistics, or comparison against a benchmark. There is also a distinction between its prose and source: the prose describes line crossovers and price crossing the cloud, while the code checks whether the lines are ordered and price is on one side of both spans. The source computes a lagging span but does not use it in the entry conditions. The stated limitations include whipsaws in sideways markets, delayed entries, parameter sensitivity, and losses around sharp reversals.
Key ideas
- Price relative to both cloud spans acts as a trend filter for long and short entries.
- The conversion and base lines provide a second directional condition through their relative ordering.
- Opposite directional conditions trigger position closure.
- The source calculates a lagging span but does not use it for trade signals.
- No performance results are supplied, and sideways markets may produce false signals.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.